曾燕学术成果

[1]国家社会科学基金重大项目：数字普惠金融的创新、风险与监管研究(2018.11-2020.12)[2]国家自然科学基金面上项目:基于税收优惠政策与背景风险的家庭资产配置策略研究(2018.1-2021.12)[3]中央高校基本科研业务费中山大学青年教师重点培育项目:互联网金融的信贷融资功能及其影响研究(2017.3-2018.12)[4]广东省自然科学杰出青年基金项目:时间不一致性投资决策问题的理论及保险实践应用研究(2015.8-2019.8)[5]霍英东教育基金高等院校青年教师基金项目:时间不一致性养老保险基金投资问题研究(2016.3-2019.3)[6]国家自然科学基金面上项目: 基于背景风险与行为因素的养老基金投资策略研究(2016.1-2019.12)[7]国家自然科学基金青年基金项目:保险公司时间不一致性决策模型与均衡策略研究,已提交结项报告[8]中国博士后科学基金面上资助项目:均值-风险准则与随机波动率框架下保险公司最优再保险与投资策略研究,结项[9]广东省科技计划项目(软科学领域): 广东省推动科技保险发展的政策路径研究,结项[10]广东省自然科学基金项目:偏好变化下的保险公司最优再保险、投资与分红问题研究,结项[11]教育部人文社会科学研究青年基金项目:长寿风险的管理与定价研究,结项[12]广东省人文社会科学规划项目:广东省长寿风险管理研究,结项[13]广东省高校优秀青年创新人才培养计划项目:均值-风险准则下保险公司的最优投资与再保险策略,结项[14]中央高校基本科研业务费专项资金资助项目:中国住房抵押贷款的信用风险缓释工具研究,结项[15]中山大学本科教学改革研究课题: “兴趣引导与科研提升”模式的《金融工程》课程教学改革研究,结项Publication:[1] Yan Zeng, *Danping Li, Zheng Chen, Zhou Yang (2018). Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility. Journal of Economic Dynamic and Control, 88: 70-103. (SSCI)[2] Danping Li, *Yan Zeng, Hailiang Yang (2018). Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps. Scandinavian Actuarial Journal, 2018(2): 145-171. (SSCI, SCI)[3] Danping Li, Yang Shen, *Yan Zeng (2018). Dynamic derivative-based investment strategy for mean-variance asset-liability management with stochastic volatility. Insurance: Mathematics and Economics, 78: 72-86. (SSCI, SCI)[4] Shumin Chen, Hailiang Yang, *Yan Zeng (2018). Stochastic differential games between two insurers with generalized mean-variance premium principle. Astin Bulletin, 48(1): 413-434. (SSCI, SCI)[5] Huiling Wu, Chengguo Weng, *Yan Zeng (2018). Equilibrium consumption and portfolio decisions with stochastic discount rate and time-varying utility functions. OR Spectrum, 40(2): 541-582. (SSCI, SCI)[6] Shuming Chen, *Zhongfei Li, Yan Zeng (2018). Optimal dividend strategy for a general diffusion process with time-inconsistent preferences and ruin penalty. SIAM Journal on Financial Mathematics, 9(1): 274-314. (SSCI, SCI)[7] Donatien Hainaut, Yang Shen, Yan Zeng (2018). How do capital structure and economic regime affect fair prices of bank’s equity and liabilities? Annals of Operations Research, 262(2): 519-545. (SSCI, SCI)[8] Zheng Chen, *Zhongfei Li, Yan Zeng, Jingyun Sun (2017). Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk. Insurance: Mathematics and Economics, 75: 137-150. (SSCI, SCI)[9] Haixiang Yao, *Zhongfei Li, Xun Li, Yan Zeng (2017). Optimal Sharpe ratio in continuous-time markets with and without a risk-free asset. Journal of Industrial and Management Optimization, 13(3): 1273–1290. (SSCI, SCI)[10] Shumin Chen, *Yan Zeng, Zhifeng Hao (2017). Optimal dividend strategies with time-inconsistent preferences and transaction costs in the Cramér–Lundberg model. Insurance: Mathematics and Economics, 74: 31-45. (SSCI, SCI)[11] Yongwu Li, *Shouyang Wang, Yan Zeng, Han Qiao (2017). Equilibrium investment strategy for a DC plan with partial information and mean–variance criterion. IEEE Systems Journal, 11(3): 1492-1504. (SSCI, SCI)[12] Hui Zhao, Chengguo Weng, Yang Shen, *Yan Zeng (2017). Time-consistent investment-reinsurance strategies towards joint interests of the insurer and the reinsurer under CEV models. Science China Mathematics, 60(2): 317-344. (SCI)[13] Yan Zeng, *Danping Li, Ailing Gu (2016). Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps. Insurance: Mathematics and Economics, 66: 138-152. (SSCI, SCI)[14] Jingyun Sun, Zhongfei Li, Yan Zeng (2016). Precommitment and equilibrium investment strategies for defined contribution pension plans under a jump-diffusion model. Insurance: Mathematics and Economics, 67: 158-172. (SSCI, SCI)[15] Hui Zhao, Yang Shen, *Yan Zeng (2016). Time-consistent investment-reinsurance strategy for mean-variance insurers with a defaultable security. Journal of Mathematical Analysis and Applications, 437(2): 1036-1057. (SCI)[16] Xin Zhang, Hui Meng, *Yan Zeng (2016). Optimal investment and reinsurance strategies for insurers with generalized mean-variance premium principle and no-short selling. Insurance: Mathematics and Economics, 67: 125-132 (SSCI, SCI)[17] Shumin Chen, Xi Wang, *Yan Zeng, Yinglu Deng (2016). Optimal dividend financing strategies in a dual risk model with time-inconsistent preferences. Insurance: Mathematics and Economics, 67: 27-37. (SSCI, SCI)[18] Yongwu Li, *Zhongfei Li, Yan Zeng (2016). Equilibrium dividend Strategy with non-exponential discounting in a dual model. Journal of Optimization Theory and Applications, 168(2): 699-722. (SSCI, SCI)[19] Xiangyu Cui, Lu Xu, *Yan Zeng (2016). Continuous time mean-variance portfolio optimization with piecewise state-dependent risk aversion. Optimization Letters, 10(8): 725-751. (SSCI, SCI)[20] Huiling Wu, *Yan Zeng (2015). Equilibrium investment strategy for defined-contribution pension schemes with generalized mean–variance criterion and mortality risk. Insurance: Mathematics and Economics, 64: 396–408. (SSCI, SCI)[21] Yang Shen, *Yan Zeng (2015). Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process. Insurance: Mathematics and Economics, 62: 118–137. (SSCI, SCI)[22] Bo Yi, Frederi G. Viens, *Zhongfei Li, Yan Zeng (2015). Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria. Scandinavian Actuarial Journal, 2015(8): 725-751. (SSCI, SCI)[23] Yongzeng Lai, *Zhongfei Li, Yan Zeng (2015). Control variate methods and applications to Asian and basket options pricing under jump-diffusion models. IMA Journal of Management Mathematics, 26 (1): 11-37. (SSCI, SCI)[24] Shuming Chen, Zhongfei Li, *Yan Zeng (2014). Optimal dividend strategies with time-inconsistent preferences, Journal of Economic Dynamics and Control, 46: 150-172. (SSCI)[25] Yang Shen, *Yan Zeng (2014). Optimal investment-reinsurance with delay for mean-variance insurers: A maximum principle approach, Insurance: Mathematics and Economics, 57: 1-12 (Lead Article, SSCI, SCI).[26] Huiling Wu, *Yan Zeng, Haixiang Yao (2014). Multi-period Markowitz’s mean–variance portfolio selection with state-dependent exit probability. Economic Modelling, 36: 69-78. (SSCI)[27] Yan Zeng, *Zhongfei Li, Yongzeng Lai (2013). Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps. Insurance: Mathematics and Economics, 52(3): 498-507. (SSCI, SCI)[28] Bo Yi, *Zhongfei Li, Frederi G. Viens, Yan Zeng (2013). Robust optimal control for an insurer with reinsurance and investment under Heston’s stochastic volatility model. Insurance: Mathematics and Economics, 53(3): 601-614. (SSCI, SCI)[29] *Yan Zeng, Huiling Wu, Yongzeng Lai (2013). Optimal investment and consumption strategies with state-dependent utility functions and uncertain time-horizon. Economic Modelling, 33: 462-470. (SSCI)[30] Huiling Wu, *Yan Zeng, (2013). Multi-period mean-variance portfolio selection in a regime-switching market with a bankruptcy state. Optimal Control, Applications and Methods, 34: 415-432. (SSCI, SCI)[31] Yan Zeng, *Zhongfei Li, Huiling Wu (2013). Optimal portfolio selection in a Levy market with uncontrolled cash flows and only risky assets. International Journal of Control, 86(3): 426-437. (SSCI, SCI)[32] Haixiang Yao, *Yan Zeng, Shumin Chen (2013). Multi-period mean-variance asset-liability management with uncontrolled cash flow and uncertain time-horizon. Economic Modelling, 30(1): 492-500. (SSCI)[33] Yan Zeng, *Zhongfei Li (2012). Optimal reinsurance-investment strategies for insurers under mean-CaR criteria. Journal of Industrial and Management Optimization, 8(3): 673-690. (SSCI, SCI)[34] Zhongfei Li, *Yan Zeng, Yongzeng Lai (2012). Optimal time-consistent investment and reinsurance strategies for insurers under Heston’s SV model. Insurance: Mathematics and Economics, 51(1): 191-203. (SSCI, SCI)[35] Ailing Gu, Xianping Guo, *Zhongfei Li, Yan Zeng (2012). Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model. Insurance: Mathematics and Economics, 51(3): 674-684. (SSCI, SCI)[36] Yan Zeng, *Zhongfei Li (2011). Optimal time-consistent investment and reinsurance policies for mean-variance insurers. Insurance: Mathematics and Economics, 49(1): 145-154. (SSCI, SCI)[37] Yan Zeng, *Zhongfei Li (2011). Asset-liability management under benchmark and mean-variance criteria in a jump diffusion market. Journal of Systems Science and Complexity, 24: 317-327. (SCI, EI)[38] Yan Zeng, *Zhongfei Li, Jingjun Liu (2010). Optimal strategies of benchmark and mean-variance portfolio selection problems for insurers. Journal of Industrial and Management Optimization, 6(3): 483-496. (SCI, SSCI)[39] 曾燕, 许金花, 涂虹羽 (2018). “共生”关系下的控制权防御机制设计—以“万科与宝能系”之争为例. 管理科学学报, 21(10): 97-111.[40] 陈永辉, 孟子良, *曾燕 (2018). 基于零售商异质性的贸易信用贷款定价与供应链金融模式选择. 系统工程理论与实践, , 38(10): 2479-2490.[41] 丁杰, 李悦雷, 曾燕 (2018). 网络贷款具有贫民属性吗？谁在嫌贫爱富？——基于“人人贷”的实证数据. 国际金融研究, 2018(6): 86-96.[42] 曾燕, 陈永辉 (2018). 互联网银行与信贷市场分配. 金融科学, 2018(1): 94-108.[43] 丁杰, 李悦雷, 曾燕, 李仲飞 (2018). P2P 网贷中双向交易者的双重信息价值及信息传递. 南开管理评论, 21(2): 4-15.[44] 陈永辉, 涂虹羽, *曾燕 (2018). 农业供应链金融的贷款定价与生产机制. 系统工程理论与实践. 系统工程理论与实践, 38(7): 1706-1716.[45] 许金花, 曾燕, 李善民, 康俊卿 (2018). 反收购条款对股东财富的作用机制: 基于大股东掏空视角的理论模型. 管理科学学报, 21(2): 37-47.[46] 曾燕, 梁思莹, *田凤平, 魏嘉伟 (2017). 股权众筹投融资方的最优策略分析. 管理科学学报, 20(9): 113-126.[47] 曾燕，康俊卿, 陈树敏 (2016). 基于异质性投资者的动态情绪资产定价. 《管理科学学报》, 19(6): 87-97.[48] 曾燕，黄金波 (2016). 基于均值-AS模型的资产配置. 《管理科学学报》, 19(2): 95-108.[49] 曾燕，陈曦，邓颖璐 (2016). 创新的动态人口死亡率预测及其应用. 《系统工程理论与实践》, 36(7): 1710-1718.[50] 曾燕，曾庆邹，康志林 (2015). 基于价格调整的长寿风险自然对冲策略. 《中国管理科学》, 23 (12): 11-19.[51] 李仲飞，陈树敏，曾燕 (2015). 基于时间不一致性偏好与扩散模型的最优分红策略. 《系统工程理论与实践》, 35(7): 1633-1645.[52] 曾燕，李仲飞，朱书尚，伍慧玲 (2014). 隐Makrov 基于CRRA效用准则的资产负债管理. 《中国管理科学》22(10): 1-8.[53] 姚海祥，伍慧玲，曾燕 (2014). 不确定终止时间和通货膨胀影响下风险资产的最优投资策略. 《系统工程理论与实践》, 34(5): 1089-1099.[54] 阳义南，曾燕，瞿婷婷 (2014). 推迟退休会减少职工个人的养老金财富吗？《金融研究》, 2014(1): 58-70.[55] 曾燕，郭延峰，张玲 (2013). 基于长寿风险与OLG模型的延迟退休决策. 《金融经济学研究》, 28(4): 83-93.[56] 伊博, 李仲飞, 曾燕 (2013). 随机波动率市场存在股票误价时的最优投资策略. 《应用概率统计》, 29(3): 261-274.[57] 谷爱玲，李仲飞，曾燕 (2012). Ornstein-Uhlenbeck模型下DC养老金计划的最优投资策略. 《应用数学学报》36(4): 715-726.[58] 康志林，曾燕 (2012). MINIMAX准则下带约束的最优投资组合策略.《系统工程学报》, 27(5): 656-667. （国家自然科学基金委管理学部A类刊物）[59] 曾燕, 李仲飞 (2011). 风险资本约束下保险公司的最优比例再保险-投资策略. 《控制理论与应用》, 28(4): 467-471. (EI, CSCD)[60] 曾燕, 李仲飞 (2010). 线性约束下保险公司的最优投资策略. 《运筹学学报》, 14: 106-118. (运筹学学科一级刊物, CSCD)

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